Fitzhenry Kirsty

Stellenbosch University

Carl Cronje Dr, Bellville, Cape Town, 7530, South

Cape Town, 7530

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Scholarly Papers (1)

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Stochastic Default Risk Estimation: Evidence from the South African Financial Market

Number of pages: 30 Posted: 15 Mar 2022
Mesias Alfeus, Fitzhenry Kirsty and Alessia Lederer
Department of Statistics and Actuarial Science - Stellenbosch University, Stellenbosch University and Stellenbosch University
Downloads 21 (685,617)

Abstract:

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Default intensity, unobservable state variables, CIR, α-CIR, extended kalman filtering